WASDE Expectation Errors and Common Downside Risk in Local Grain Basis

Yuan Zhang and Eunchun Park

No 404728, 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri from Agricultural and Applied Economics Association

Abstract: This paper examines whether unexpected WASDE information synchronizes local grain basis risk. Using private pre-release forecasts, we measure WASDE expectation errors as deviations between released USDA values and private consensus expectations. We combine these event-level surprises with elevator-level corn and soybean basis changes and estimate the Tail Pairwise Dependence Matrix (TPDM) for downside basis reactions across elevators. The leading TPDM share captures whether adverse local basis reactions are dominated by a common downside factor. Large WASDE expectation errors are associated with stronger common downside basis reactions for soybeans: the leading TPDM share rises by 5.6 percentage points in the release week and 3.7 percentage points in the following week relative to small-surprise events. The effect is strongest for bearish surprises, whereas corn responses are weaker and less stable across timing choices. Forecast disagreement alone does not generate the same amplification. These findings indicate that local soybean basis risk becomes more spatially synchronized when public information substantially departs from private expectations, highlighting a tail-risk channel that is distinct from standard futures-price event responses.

Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Pages: 24
Date: 2026
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/404728/files/1 ... _2026_manuscript.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea26:404728

DOI: 10.22004/ag.econ.404728

Access Statistics for this paper

More papers in 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().